The Determinants of Stock Returns in a Small Open Economy

Séverine Cauchie, Martin Hoesli and Dusan Isakov
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Séverine Cauchie: HEC-University of Geneva

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and a macroeconomic implementation of the model are performed for the period 1986-2002 with monthly returns on industrial sector indices. The results show that the statistically determined factors yield a better representation of the determinants of stock returns than the macroeconomic variables and that stock returns are influenced by both global and local economic conditions. This suggests that the Swiss stock market is an internationally imperfectly integrated market.

Keywords: Statistical APT; Macroeconomic APT; Market integration; Risk factors (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2003-05
New Economics Papers: this item is included in nep-cfn and nep-fin
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The determinants of stock returns in a small open economy (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:fam:rpseri:rp54

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